Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0151 |
| Annualized Std Dev | 0.4079 |
| Annualized Sharpe (Rf=0%) | 0.0369 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3630.0000 |
| NAs | 1.0000 |
| Minimum | -0.1914 |
| Quartile 1 | -0.0118 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0126 |
| Maximum | 0.2294 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0007 |
| Stdev | 0.0257 |
| Skewness | -0.1037 |
| Kurtosis | 7.6794 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0184 |
| Gain Deviation | 0.0182 |
| Loss Deviation | 0.0193 |
| Downside Deviation (MAR=210%) | 0.0227 |
| Downside Deviation (Rf=0%) | 0.0182 |
| Downside Deviation (0%) | 0.0182 |
| Maximum Drawdown | 0.8583 |
| Historical VaR (95%) | -0.0373 |
| Historical ES (95%) | -0.0608 |
| Modified VaR (95%) | -0.0386 |
| Modified ES (95%) | -0.0621 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2016-01-25 | NA | -0.8583 | 3233 | 1935 | NA |
| 2007-07-13 | 2007-08-16 | 2007-09-18 | -0.2374 | 47 | 25 | 22 |
| 2007-12-11 | 2008-01-23 | 2008-02-22 | -0.2163 | 50 | 29 | 21 |
| 2007-10-30 | 2007-11-26 | 2007-12-07 | -0.1200 | 28 | 19 | 9 |
| 2008-02-29 | 2008-03-10 | 2008-04-04 | -0.1143 | 25 | 7 | 18 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | -0.8 | -0.7 | -1.5 |
| 2007 | 1.2 | -1 | -0.3 | -0.3 | 2.7 | 0.4 | 0.1 | 3.3 | 3.6 | -5 | 1.9 | -1.3 | 5.1 |
| 2008 | 5.3 | -4.7 | 3.4 | -1 | 1.6 | -3.6 | -4.1 | -0.6 | -3.3 | -0.9 | -14.8 | 1.8 | -20.2 |
| 2009 | -4.5 | -2 | 6.5 | 5.6 | 6.8 | 0.4 | 2 | -2.9 | -4.7 | -4.3 | 2.6 | -1 | 3.5 |
| 2010 | 6 | 2.2 | 2.4 | -2.7 | -4.1 | 0.2 | -0.2 | 5.4 | 1.4 | 0.6 | 3.6 | 0.2 | 15.5 |
| 2011 | 2.9 | -2.5 | 0.4 | 0.8 | -2.7 | 1.7 | -0.9 | -1.5 | -4.1 | -3.6 | -0.4 | 0.8 | -9 |
| 2012 | 2.5 | 1.6 | 0.2 | 1.1 | -2.4 | 4.9 | 0 | 1.4 | 0.5 | 3.8 | -0.5 | 2.7 | 16.7 |
| 2013 | 1.6 | -1.8 | -1.4 | -1.9 | -3 | 1.2 | 1.1 | -1 | 0.4 | 1.5 | 1.4 | 0.3 | -1.8 |
| 2014 | -0.6 | -0.8 | 0.3 | -0.2 | -2.1 | 0.7 | -0.6 | 0.6 | -2.6 | 2.1 | -2.1 | -0.7 | -5.9 |
| 2015 | 0.4 | -0.1 | -1 | 1.4 | -0.8 | -0.6 | -0.5 | -3.9 | 0.5 | 1.4 | 0.4 | -0.8 | -3.5 |
| 2016 | -0.9 | 3.9 | 1.3 | 0.9 | 0.2 | 2.7 | -1.8 | 0.6 | 0.7 | -1.4 | -0.3 | -2 | 3.8 |
| 2017 | 0.8 | 3.3 | 0 | 0.5 | 0.2 | 1.1 | -1.3 | 2.2 | 1.2 | 0.8 | 0 | -0.5 | 8.3 |
| 2018 | 0.3 | 1.1 | 3.5 | -1.2 | 1.7 | 0.2 | -1.2 | 0.6 | 0.5 | 2.3 | 0.1 | 0.1 | 8.5 |
| 2019 | -1.3 | 0.4 | 3.4 | -2.3 | -2 | 0.8 | -3.2 | 1.2 | -1.4 | 4.3 | -1.3 | 0.1 | -1.5 |
| 2020 | -3.1 | -1.3 | -4 | -3.3 | 1.7 | -1.7 | -1.9 | 2.4 | 0.8 | -0.4 | 4.5 | -0.6 | -7.1 |
| 2021 | 3.2 | 4.4 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-10-16 42.7 SPY 137. 0.0015 0.013 0.037 0.104 0.153 0.303 0.252 GLD 59.2 0.0102 0.0344
2 2006-10-17 42.2 SPY 136. -0.0031 0.0084 0.0323 0.0853 0.145 0.294 0.240 GLD 58.6 -0.0088 0.0289
3 2006-10-18 42.1 SPY 137. 0.0013 0.011 0.0363 0.0942 0.159 0.310 0.269 GLD 58.6 -0.001 0.0301
4 2006-10-19 42.7 SPY 137. 0.0016 0.0039 0.0325 0.104 0.142 0.302 0.274 GLD 59.4 0.014 0.0334
5 2006-10-20 42.4 SPY 137. 0.0002 0.0015 0.0377 0.0842 0.163 0.305 0.275 GLD 58.8 -0.0106 0.0036
6 2006-10-23 42.7 SPY 137. 0.0046 0.0046 0.0456 0.0853 0.164 0.328 0.256 GLD 57.8 -0.0174 -0.0238
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
